Empirical Analysis Of China's Stock Fund Investment

This thesis firstly reviewed the history of Securities Investment Fund(SIF) Market and brought forward the basic methods in performance evaluation of SIFs.Secondly, the thesis analysis two important arguments on SIF investment styles in maturity markets.One of which was the arguments on the concentration and diversify effect on SIF performance,the thesis analyzed the origination of the argument,the coexistence and antinomy of the two style in Investment practice,and different conclusions of other empirical researches.The second one was the analysis on the arguments on Time Selection influence on Funds performance,which started from the origination of the arguments and introduced some methods to evaluate the Time Selection.At last, empirical analysis was used to make out the relationship between SIF performances and SIFs' Portfolio Concentration and Time Selection management in China SIF market.Comparative analysis and regressions were used in data mining to find out the relationship between variables.Via the empirical research on Chinese SIF investment, some conclusions were made on the effect of the concentration and time selection in Chinese market while there are still many arguments on them in maturity markets. From the analysis,the time selection could not make extra benefit in the investment management of Chinese SIFs while the high single equity concentration could make better performance.The originality of this thesis is the introduction of some variables to evaluate the degree of Time Selection and Portfolio Concentration in SIF Management.The variables used to test Time Selection degree include Security on Holding Turnover Rate and Standard deviation of Quarterly Long Positions.While the Industry concentration and Equity concentration are used to evaluate the Portfolio Structure. Most importantly,the optimization of the Industry Concentration Variable makes the data more meaningful in evaluation practice and the conclusion more useful in investment practice.